New reformulations for probabilistically constrained quadratic programs (Q296982)
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scientific article; zbMATH DE number 6597957
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| English | New reformulations for probabilistically constrained quadratic programs |
scientific article; zbMATH DE number 6597957 |
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New reformulations for probabilistically constrained quadratic programs (English)
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24 June 2016
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quadratic programming
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probabilistic constraint
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semi-definite programming
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mixed-integer quadratic program
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value-at-risk/variance portfolio selection
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0.904433012008667
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0.7677920460700989
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0.7630654573440552
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0.7613368034362793
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0.7548806667327881
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